摘要
利用现代计量经济学方法,构建向量自回归模型与脉冲响应函数,实证分析了2008年4月17日至2008年12月19日洛阳钼业与金钼股份收盘价数据与钼铁(60%Mo)中国主要港口FOB价格数据,揭示了中国钼铁实物市场与中国钼业证券市场之间的相互影响。计算结果说明,钼铁实物市场对钼业证券市场的影响力要高于钼业证券市场对钼铁实物市场的影响力,且钼铁实物市场对钼业证券市场的持续影响力要长于钼业证券市场对钼铁实物市场的持续影响力约一个月左右。
This paper measures the closing prices of two stocks, LYMY（3993. HK） and JMGF（601958 ）, as well as the price of ferro -molybdenum（ FOB, 60%, Chinese main ports）, from April 17 to December 31,2008 ,based on the modern econometric models and methods, such as ARIMA Model and Impluse Function, shows the impact of Chinese ferro - molybdenum market on Chinese molybdenum stock market, which is higher than the impact of Chinese molybdenum stock market on Chinese ferro -molybdenum market, and longer for about 1 month.
出处
《中国钼业》
2009年第5期38-44,共7页
China Molybdenum Industry
